Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Nov 06 (1D) Nov 07 (2D) Nov 10 (5D) Nov 11 (6D) Nov 12 (7D) Nov 13 (8D) Nov 14 (9D) Nov 17 (12D) Nov 18 (13D) Nov 19 (14D) Nov 21 (16D) Nov 28 (23D) Dec 05 (30D) Dec 12 (37D) Dec 19 (44D) Dec 26 (51D)
lower 671.193 668.547 663.297 661.934 660.68 659.514 658.418 655.453 654.55 653.68 652.03 646.947 642.594 638.727 635.21 631.964
upper 683.967 686.613 691.863 693.226 694.48 695.646 696.742 699.707 700.61 701.48 703.13 708.213 712.566 716.433 719.95 723.196
expected move 6.387 9.033 14.283 15.646 16.90 18.066 19.162 22.127 23.03 23.90 25.55 30.633 34.986 38.853 42.37 45.616
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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